You probably won't get any answers unless you post complete source code and data on dropbox or something. Even then, it's a roll of the dice.
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Brian BMay 10 '13 at 17:23

Hi Brian B. I've included all data which are needed to price that bond, I do not understand what else could make my question more comprehensible. I could attach R code but in fact it is sufficient one to copy each field value in FixedRateBondPriceByYield() to get the same result... unless I've made some mistakes, that is quite likely according to the difference with Bloomberg YAS.
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Lisa AnnMay 10 '13 at 18:46

Then, if I understand my mistake, you're telling me I switched effectiveDate field with the issueDate one: if I wanted to calculate the price of this bond with RQuantLib on 10 May 2014 I would have to set issueDate <- '2014-05-10' and effectiveDate <- '2013-05-03'. Correct?
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Lisa AnnMay 10 '13 at 23:36

effectiveDate means the date the bond begins to accrue interest, the date it functionally goes 'live'; issueDate is the date investors first get the chance to buy-in. For your purposes just set them equal to each other.
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VeekenMay 10 '13 at 23:40

But if issueDate <- effectiveDate <- as.Date('2013-05-03') how can I evaluate this bond on 10 May 2014? Doesn't issueDate <- effectiveDate <- as.Date('2013-05-03') make the pricing on 03 May 2013 instead of 10 May 2014?
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Lisa AnnMay 10 '13 at 23:41

set settlement days to 365. effectiveDate has a very precise meaning in this context and simply can't be used interchangeably as a valuation date. regards...
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VeekenMay 11 '13 at 15:14

Let's approximate the time to maturity to be 3 years and 10 months. Assume that coupon is paid on March 6 each year. Let face value $F=100$ and coupon $c=0.07375F$. Let the discount factor be $d(0,T)=e^{−r T}$ where $r=0.06535$. The price of the bond is
$$ce^{−10/12 \bullet r}+ce^{−22/12 \bullet r}+ce^{−34/12 \bullet r}+(F+c)e^{−46/12 \bullet r}=103.24 \; .$$
Since the discount rate $r$ < coupon rate, I don't see how the price of the bond can be less than 100.